Title: Do spillover effects exist in Indian markets?

Authors: Anshuman Kamila; M. Sreeramulu; Aniket Ranjan

Addresses: Department of Economic Affairs, Ministry of Finance, Government of India, New Delhi, India ' Reserve Bank Staff College, Reserve Bank of India, Chennai, India; Department of External Investments and Operations, Reserve Bank of India, Mumbai, India ' Reserve Bank Staff College, Reserve Bank of India, Chennai, India; Department of External Investments and Operations, Reserve Bank of India, Mumbai, India

Abstract: Using forecast error variance (FEV) decomposition technique of a generalised VAR model of Diebold and Yilmaz (2012), this study is an inquiry into the return and volatility spillovers across various market segments in India viz., stock, bond, money and currency markets over the period July 2005 to August 2020. The empirical results confirm the spillover effects among the above stated markets; however, the degree of spillovers is very low (at around 5%) when compared with advanced economies. Further, our results reveal that stock and bond markets are the contributors of spillovers to other markets, while currency and money markets are receivers of spillovers from other markets.

Keywords: market spillovers; FEV decomposition; VAR.

DOI: 10.1504/IJEPEE.2023.132535

International Journal of Economic Policy in Emerging Economies, 2023 Vol.17 No.4, pp.556 - 570

Received: 13 Jan 2022
Accepted: 28 Mar 2022
Published online: 27 Jul 2023 *

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